Market Risk and Model Manager
** Quantitative Risk Manager with management experience and commodities knowledge needed for leading Commodity Trader **
You will work within the market risk team and be responsible for the validation of front office models and development of risk methodology and tools. This is a very high profile team which is one of the key contacts for the business so strong communication skills are paramount. As you will be managing colleagues with some experience, prior people management experience is essential.
Responsibilities include:
- Validation of market data models (calibration of exotic parameters) and product models (Power Plant, Hydro and Gas storage, Swing options, etc.) developed by the Front Office to value vanilla and exotic Energy options (MtM and Greeks calculation)
- Development and validation of Risk methodology in relationship with Risk Control and Treasury
- Development and operational support around Matlab Risk tools used for operational Risk Control
- Support Front Office to provide ad-hoc pricing benchmarks and Risk analyses for new structured deals
- Review of economical models for investment decisions
Skills required:
- Background in Risk management within an investment bank or energy trading company
- Knowledge of energy commodities and derivatives products
- Knowledge of option pricing theory and financial mathematics
- People management experience is essential
- Background in pricing and optimisation model development
- Background in IT development, in particular Matlab
- Proficient with Microsoft Office products
If you would like to apply for the role of Market Risk and Model Manager - Commodities or find out more, please apply online or contact Anna Purves at Robert Walters on anna.purves@robertwalters.com quoting the reference 1813100.
Leave a Reply
You must be logged in to post a comment.